Admissible monetary aggregates for the euro area
(2009) In Journal of International Money and Finance 28(1). p.99-114- Abstract
- We use the Fleissig and Whitney [Fleissig, A.R., Whitney, G.A., 2003. A new PC-based test for Varian's weak separability conditions. Journal of Business and Economics Statistics 21 (1), 133-144] weak separability test to determine admissible levels of monetary aggregation for the Euro area. We find that the Euro area monetary assets in M2 and M3 are weakly separable and construct admissible Divisia monetary aggregates for these assets. We show that real growth of the admissible Divisia aggregates enters the Euro area IS curve positively and significantly for the period from 1980 to 2005. Out of sample, we show that Divisia M2 and M3 appear to contain useful information for forecasting Euro area inflation. (c) 2008 Elsevier Ltd. All rights... (More)
- We use the Fleissig and Whitney [Fleissig, A.R., Whitney, G.A., 2003. A new PC-based test for Varian's weak separability conditions. Journal of Business and Economics Statistics 21 (1), 133-144] weak separability test to determine admissible levels of monetary aggregation for the Euro area. We find that the Euro area monetary assets in M2 and M3 are weakly separable and construct admissible Divisia monetary aggregates for these assets. We show that real growth of the admissible Divisia aggregates enters the Euro area IS curve positively and significantly for the period from 1980 to 2005. Out of sample, we show that Divisia M2 and M3 appear to contain useful information for forecasting Euro area inflation. (c) 2008 Elsevier Ltd. All rights reserved. (Less)
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/1372152
- author
- Binner, Jane M. ; Bissoondeeal, Rakesh K. ; Elger, Thomas LU ; Jones, Barry E. and Mullineux, Andrew W.
- organization
- publishing date
- 2009
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Divisia aggregates, Euro area, Weak separability tests, IS curve, Forecasting
- in
- Journal of International Money and Finance
- volume
- 28
- issue
- 1
- pages
- 99 - 114
- publisher
- Elsevier
- external identifiers
-
- wos:000263393800005
- scopus:49749128296
- ISSN
- 0261-5606
- DOI
- 10.1016/j.jimonfin.2008.07.007
- language
- English
- LU publication?
- yes
- id
- b65d4223-f994-43b8-967a-55620ac79223 (old id 1372152)
- date added to LUP
- 2016-04-01 11:58:56
- date last changed
- 2022-04-05 07:55:52
@article{b65d4223-f994-43b8-967a-55620ac79223,
abstract = {{We use the Fleissig and Whitney [Fleissig, A.R., Whitney, G.A., 2003. A new PC-based test for Varian's weak separability conditions. Journal of Business and Economics Statistics 21 (1), 133-144] weak separability test to determine admissible levels of monetary aggregation for the Euro area. We find that the Euro area monetary assets in M2 and M3 are weakly separable and construct admissible Divisia monetary aggregates for these assets. We show that real growth of the admissible Divisia aggregates enters the Euro area IS curve positively and significantly for the period from 1980 to 2005. Out of sample, we show that Divisia M2 and M3 appear to contain useful information for forecasting Euro area inflation. (c) 2008 Elsevier Ltd. All rights reserved.}},
author = {{Binner, Jane M. and Bissoondeeal, Rakesh K. and Elger, Thomas and Jones, Barry E. and Mullineux, Andrew W.}},
issn = {{0261-5606}},
keywords = {{Divisia aggregates; Euro area; Weak separability tests; IS curve; Forecasting}},
language = {{eng}},
number = {{1}},
pages = {{99--114}},
publisher = {{Elsevier}},
series = {{Journal of International Money and Finance}},
title = {{Admissible monetary aggregates for the euro area}},
url = {{http://dx.doi.org/10.1016/j.jimonfin.2008.07.007}},
doi = {{10.1016/j.jimonfin.2008.07.007}},
volume = {{28}},
year = {{2009}},
}